Pengaruh Kondisi Makroekonomi Terhadap Indeks Saham Syariah Indonesia Periode 2014-2025 87 40

Abstract

The Islamic capital market serves as an investment instrument that plays an important role in supporting
national economic development. Changes in the Indonesia Sharia Stock Index (ISSI), which acts as an
indicator of the Islamic capital market, are presumed to be influenced by various macroeconomic
conditions. Unlike previous studies that generally focused only on the relationship between certain
macroeconomic variables and ISSI, this study integrates economic growth, inflation, the BI Rate,
exchange rate, and a dummy variable into a single model to analyze their effects on ISSI in both the
short and long run. This quantitative study employs quarterly time-series data and utilizes the Vector
Error Correction Model (VECM) as the analytical method. The cointegration test results indicate the
existence of a long-run equilibrium relationship among the variables. The VECM estimation results
show that, in the short run, economic growth, inflation, the BI Rate, exchange rate, and the dummy
variable do not have a significant effect on ISSI, while the Error Correction Term (ECT) has a negative
and significant effect, indicating the existence of a long-run equilibrium relationship. In the long run,